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Adjustment of the Stamp Duty on Stock Transactions and Its Effect on the Chinese Stock Market

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Listed:
  • Zhe Peng
  • Qiming Tang
  • Kent Wang

Abstract

This paper studies how the last three adjustments of the stamp duty on stock transactions (SDST) have affected trading behavior on the Chinese stock market. To exclude other shocks from our event study, we focus only on the SDST's short-term effects. Based on an interval autoregressive (IAR) model, we find that the SDST's effects on interval return are trivial; moreover, its ability to influence market volatility and trading volume is cast into doubt. Our empirical evidence lends support to the view that in China the SDST is not an effective policy tool.

Suggested Citation

  • Zhe Peng & Qiming Tang & Kent Wang, 2014. "Adjustment of the Stamp Duty on Stock Transactions and Its Effect on the Chinese Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1), pages 183-196, January.
    • Handle: RePEc:mes:emfitr:v:50:y:2014:i:1:p:183-196
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    Cited by:

    1. Hui Ying Sng & Yang Zhang & Huanhuan Zheng, 2020. "Margin trade, short sales and financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 673-702, July.
    2. Yang-Chao Wang & Jui-Jung Tsai & Qiaoqiao Li, 2017. "Policy Impact on the Chinese Stock Market: From the 1994 Bailout Policies to the 2015 Shanghai-Hong Kong Stock Connect," IJFS, MDPI, vol. 5(1), pages 1-19, January.

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